Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0126
Annualized Std Dev 0.0506
Annualized Sharpe (Rf=0%) 0.2490

Row

Daily Return Statistics

Close
Observations 3546.0000
NAs 1.0000
Minimum -0.0311
Quartile 1 -0.0016
Median 0.0001
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0018
Maximum 0.0199
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0032
Skewness -0.4636
Kurtosis 6.5888

Downside Risk

Close
Semi Deviation 0.0023
Gain Deviation 0.0021
Loss Deviation 0.0024
Downside Deviation (MAR=210%) 0.0089
Downside Deviation (Rf=0%) 0.0023
Downside Deviation (0%) 0.0023
Maximum Drawdown 0.1057
Historical VaR (95%) -0.0049
Historical ES (95%) -0.0074
Modified VaR (95%) -0.0052
Modified ES (95%) -0.0100
From Trough To Depth Length To Trough Recovery
2008-01-24 2008-10-10 2008-12-18 -0.1057 230 182 48
2016-07-11 2018-11-06 2019-08-07 -0.0863 763 577 186
2020-03-10 2020-03-19 2020-07-07 -0.0797 83 8 75
2012-07-25 2013-09-05 2016-06-27 -0.0778 984 280 704
2008-12-29 2009-03-09 2009-11-04 -0.0672 216 48 168

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -0.1 -0.3 0.1 -0.3 -0.9 0.4 -0.3 0.1 -0.2 0.2 -0.1 0.1 -1.5
2008 -0.1 0.6 -1 -0.4 0.4 -0.5 0 -0.1 -0.2 1.4 0.6 -1.2 -0.6
2009 -0.1 -0.4 -0.5 -0.2 -1.1 -0.1 0.3 -0.1 0.2 0.7 -0.5 -0.2 -2.1
2010 -0.4 -0.5 -0.3 0.4 -0.1 -0.2 0.2 -0.9 -0.3 -0.4 -1 0.3 -3.1
2011 -0.5 -0.2 -0.2 -0.2 0.4 -0.4 0.3 -0.4 0.4 0.2 -0.2 0.1 -0.6
2012 -0.2 -0.4 -0.4 -0.4 0.3 -0.2 -0.4 0.2 0 -0.3 0.1 -0.5 -2.3
2013 -0.3 0.1 -0.2 0.1 -0.1 -0.2 -0.7 -0.3 -0.3 0 0.2 -0.2 -1.8
2014 0.2 -0.1 -0.3 0 -0.1 -0.2 0 0 0.3 0 -0.4 0.4 -0.3
2015 0.4 0.1 0.1 -0.6 -0.5 -0.3 0.2 0 -0.1 0.2 0.2 0.4 0.2
2016 -0.4 -0.5 -0.1 0 -0.1 -0.1 -0.5 -0.2 -0.2 -0.3 -0.6 0 -3
2017 -0.3 -0.7 0.2 -0.3 -0.3 -0.2 0.1 -0.2 0.1 -0.2 0.1 0.1 -1.6
2018 -0.4 0 0.2 -0.3 -0.3 0 0.1 0 -0.3 -0.2 0.1 0.3 -0.8
2019 -0.4 -0.4 -0.6 -0.2 0.5 -0.2 0.6 0.1 -0.1 -0.3 -0.1 -0.2 -1.2
2020 0.4 0.9 -0.1 -0.4 -0.3 -0.1 0.1 0.1 -0.1 -0.1 -0.4 0.3 0.2
2021 0 -0.2 0 NA NA NA NA NA NA NA NA NA -0.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-11 100.  SPY    142.  0.0044   0.0035   0.0052   0.0509    0.103    0.265    0.230 GLD    60.6  0.0007  -0.0165
2 2007-01-12 100.  SPY    143.  0.0076   0.0192   0.0099   0.0602    0.108    0.265    0.234 GLD    62.2  0.0254   0.0332
3 2007-01-16  99.9 SPY    143. -0.002    0.0125   0.0087   0.049     0.110    0.270    0.244 GLD    62.0 -0.0032   0.0246
4 2007-01-18 100.  SPY    143. -0.0034   0.0071  -0.0041   0.0417    0.111    0.253    0.238 GLD    62.3 -0.0061   0.0276
5 2007-01-19 100.  SPY    143.  0.002    0.0046   0.0034   0.047     0.117    0.250    0.266 GLD    63    0.0119   0.0391
6 2007-01-22 100.  SPY    142. -0.0031  -0.006    0.003    0.0424    0.110    0.247    0.253 GLD    62.7 -0.0044   0.0088
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart